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2018 IEEE Symposium on Security and Privacy (SP) (2018)
San Francisco, CA, US
May 21, 2018 to May 23, 2018
ISSN: 2375-1207
ISBN: 978-1-5386-4353-2
pp: 453-471
Fabio Massacci , University of Trento, IT
Chan Nam Ngo , University of Trento, IT
Jing Nie , University of International Business and Economics Beijing, CN
Daniele Venturi , University of Rome "La Sapienza", IT
Julian Williams , University of Durham, UK
ABSTRACT
In a Futures-Exchange, such as the Chicago Mercantile Exchange, traders buy and sell contractual promises (futures) to acquire or deliver, at some future pre-specified date, assets ranging from wheat to crude oil and from bacon to cash in a desired currency. The interactions between economic and security properties and the exchange's essentially non-monotonic security behavior; a valid trader's valid action can invalidate other traders' previously valid positions, are a challenge for security research. We show the security properties that guarantee an Exchange's economic viability (availability of trading information, liquidity, confidentiality of positions, absence of price discrimination, risk-management) and an attack when traders' anonymity is broken. We describe all key operations for a secure, fully distributed Futures-Exchange, hereafter referred to as simply the "Exchange". Our distributed, asynchronous protocol simulates the centralized functionality under the assumptions of anonymity of the physical layer and availability of a distributed ledger. We consider security with abort (in absence of honest majority) and extend it to penalties. Our proof of concept implementation and its optimization (based on zk-SNARKs and SPDZ) demonstrate that the computation of actual trading days (along Thomson-Reuters Tick History DB) is feasible for low-frequency markets; however, more research is needed for high-frequency ones.
INDEX TERMS
distributed-futures-exchange, non-monotonicity, proportional-burden, zero-knowledge, secure-multiparty-computation
CITATION

F. Massacci, C. N. Ngo, J. Nie, D. Venturi and J. Williams, "FuturesMEX: Secure, Distributed Futures Market Exchange," 2018 IEEE Symposium on Security and Privacy (SP), San Francisco, CA, US, , pp. 453-471.
doi:10.1109/SP.2018.00028
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